Multifractal Analysis of the Algerian Dinar - US Dollar Exchange Rate

Multifractal Analysis of the Algerian Dinar - US Dollar Exchange Rate

Journal of Accounting, Finance and Economics

Vol. 5. No. 1., September 2015, Pages: 74 – 83

Multifractal Analysis of the Algerian Dinar - US Dollar Exchange Rate

Sami Diaf and Rachid Toumache

This article aims to study the scaling behavior of the Algerian Dinar-US Dollar exchange rate using multifractal time series analysis which stems from the fractal theory first implemented by Benoît Mandelbrot in early 1960. Investigating time series properties using this technique permits to shed light on important characteristics omitted by traditional time series analyses and highlight the usefulness of local Hölder exponents in predicting crash patterns, as well as identifying the nature of the evolving shocks affecting the series.